Estimating the number of signals using principal component analysis

Research output: Contribution to journalArticle

Researchers

  • Joni Virta
  • Klaus Nordhausen

Research units

  • Vienna University of Technology

Abstract

In this work, we develop inferential tools for determining the correct number of principal components under a general noisy latent variable model, which includes as a special case, for example, the noisy independent component model. The problem is approached using hypothesis testing, and we provide both a large‐sample test and several resampling‐based alternatives. Simulations and an application to sound data reveal that both types of approaches keep the desired levels and have good power.

Details

Original languageEnglish
Article numbere231
Pages (from-to)1-7
JournalStat
Volume8
Issue number1
Publication statusPublished - 21 May 2019
MoE publication typeA1 Journal article-refereed

ID: 38956664